Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.3566
Annualized Std Dev 0.5183
Annualized Sharpe (Rf=0%) 0.6879

Row

Daily Return Statistics

Close
Observations 2953.0000
NAs 1.0000
Minimum -0.3495
Quartile 1 -0.0102
Median 0.0022
Arithmetic Mean 0.0018
Geometric Mean 0.0012
Quartile 3 0.0167
Maximum 0.2797
SE Mean 0.0006
LCL Mean (0.95) 0.0006
UCL Mean (0.95) 0.0029
Variance 0.0011
Stdev 0.0327
Skewness -0.5934
Kurtosis 14.3856

Downside Risk

Close
Semi Deviation 0.0242
Gain Deviation 0.0227
Loss Deviation 0.0276
Downside Deviation (MAR=210%) 0.0273
Downside Deviation (Rf=0%) 0.0234
Downside Deviation (0%) 0.0234
Maximum Drawdown 0.7682
Historical VaR (95%) -0.0493
Historical ES (95%) -0.0806
Modified VaR (95%) -0.0478
Modified ES (95%) -0.0891
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2021-01-08 -0.7682 225 23 202
2011-05-02 2011-10-03 2012-04-02 -0.5176 233 108 125
2018-09-21 2018-12-24 2019-07-12 -0.5032 202 65 137
2010-04-26 2010-07-02 2010-12-10 -0.4295 161 49 112
2015-05-22 2016-02-11 2016-07-18 -0.3943 291 183 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA 1.1 0.3 -6.8 -7.6 -8.5 3.3 -2.8 -19.8
2010 4.7 3 2.1 -5.1 -4.8 -0.6 -0.1 8.6 1.3 0.1 6.5 0 15.9
2011 4.8 -5 1.1 1 -6.6 4.5 -1.4 -2.8 -7.1 -8 -0.2 -1.3 -20
2012 2.7 1.8 0.9 1.9 -7.6 7.6 -0.8 1.3 0.7 3.4 -0.3 5.5 17.6
2013 3.1 0.9 -1 -2.7 -4.4 2.3 3.6 -1.2 2.5 0.8 -0.2 1.4 4.9
2014 -1.9 0.6 2 0 0.4 2 -1 0.8 -4 3.3 -2 -3 -3.1
2015 -3.9 -1 -1 3.2 0.6 2.2 -0.4 -8.9 0.8 -1.5 2.8 -3 -10.2
2016 -0.3 7.4 1.9 -1.6 0.6 0.7 -0.2 0.1 2.3 -2 -1.2 -1 6.4
2017 0.1 4 -0.7 0.6 2.3 0.5 0.6 0.5 1 0.5 -0.5 -1 8.1
2018 -1.4 -4.1 4.2 0.6 3.2 0.3 -0.4 0 1.1 3.1 2 2.7 11.6
2019 0.1 2 3.5 -2.3 -4.1 2.6 -2.5 -0.1 -3.6 2.8 -1 0.7 -2.2
2020 -5.4 -0.7 -13.4 -8 1.3 1.8 2.4 2.9 1.9 -3.2 3.3 1.6 -15.8
2021 4.8 7.2 -0.5 NA NA NA NA NA NA NA NA NA 11.8

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart